I've been meaning to blog about this for a while, but for some reason I keep forgetting (sorry, I've been busy at work).  If you're wondering on how WCF compares performance wise to existing distributed communication technologies (ASMX, WSE, Enterprise Services, .NET Remoting) you should definitely check out this white paper on MSDN:

A Performance Comparison of Windows Communication Foundation (WCF) with Existing Distributed Communication Technologies